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EnglishThis paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that, accounting for both regimes in interest rate dynamics, and combining forecasts from different models, helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons.
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| Titolo: | Forecasts of US short-term interest rates: A flexible forecast combination approach |
| Data di pubblicazione: | 2009 |
| Autori: | |
| Autori: | Guidolin, Massimo; A., Timmermann |
| Rivista: | JOURNAL OF ECONOMETRICS |
| Abstract: | This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that, accounting for both regimes in interest rate dynamics, and combining forecasts from different models, helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. |
| Codice identificativo Scopus: | 2-s2.0-61849096242 |
| Codice identificativo ISI: | WOS:000267109800015 |
| Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista Scientifica |
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http://hdl.handle.net/11565/3719737
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